Given a càdlàg process X on a filtered measurable space, we construct a version of its semimartingale characteristics which is measurable with respect to the underlying probability law. More precisely, let Psem be the set of all probability measures P under which X is a semimartingale. We...

We give sufficient conditions on the underlying filtration such that all totally inaccessible stopping times have compensators which are absolutely continuous. If a semimartingale, strong Markov process X has a representation as a solution of a stochastic differential equation driven by a Wiener...

An implied savings account for a given term structure model is a strictly positive predictable process A of finite variation such that zero coupon bond prices are given by $B(t,T)=E^Q\left[{A_t \over A_T} \Big| {\cal F}_t \right]$ for some Q equivalent to the original probability measure. We...